拜伦IPO折价模型检验.pdf

Rev Quant Finan Acc DOI 10.1007/s11156-009-0148-5 ORI GINAL RESEARCH Issuers’ incentives and tests of Baron’s model of IPO underpricing Hsuan-Chi Chen Æ Robert C. W. Fok Æ Sheng-Hung Kang Springer Science+Business Media, LLC 2009 Abstract This paper reexamines the validity of Baron’s (J Financ 37:955–976, 1982) model of IPO underpricing, in which IPO underpricing is caused by asymmetric infor- mation between issuers and investment bankers. Muscarella and Vetsuypens (J Financ Econ 24:125–135, 1989) find that lead-manager IPOs are significantly more underpriced than non-self-marketed IPOs and conclude that their empirical results do not support Baron’s model. We compare self-marketed underwriters’ IPOs with non-self-marketed underwriters’ IPOs and with IPOs they lead. Our empirical results show that it is premature to reject Baron’s model of IPO underpricing when we take issuer incentives into account. Keywords Initial public offering Incentives Underwriter JEL Classification G32 1 Introduction Many studies have attempted to explain the phenomenon of IPO underpricing. Possible explanations include asymmetric information (Baron ( 1982), Rock (1986), Allen and Faulhaber ( 1989), Grinblatt and Hwang ( 1989), and Welch (1989)), valuation uncertainty H.-C. Chen () Anderson School of Management, University of New Mexico, 1924 Las Lomas NE, Albuquerque, NM 87131, USA e-mail: chen@; hcchen.mail@ R. C. W. Fok Department of Business, University of Wisconsin-Parkside, 900 Wood Road, P.O. Box 2000, Kenosha, WI 35141, USA e-mail: fok@ S.-H. Kang Department of Finance, Yuan Ze University, 135 Yuan-Tung Road, Chung-Li, Taoyuan 32003, Taiwan e-mail: drong220@ 123 H.-C Chen